Nonparametric estimation of an extreme-value copula in arbitrary dimensions
نویسندگان
چکیده
منابع مشابه
Nonparametric estimation of an extreme-value copula in arbitrary dimensions
Inference on an extreme-value copula usually proceeds via its Pickands dependence function, which is a convex function on the unit simplex satisfying certain inequality constraints. In the setting of an iid random sample from a multivariate distribution with known margins and unknown extreme-value copula, an extension of the Capéraà–Fougères–Genest estimator was introduced by D. Zhang, M. T. We...
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ژورنال
عنوان ژورنال: Journal of Multivariate Analysis
سال: 2011
ISSN: 0047-259X
DOI: 10.1016/j.jmva.2010.07.011